TACO on E-Mini S&P 500 Futures

April 20, 2018 10:48AM CDT

CME Group

Effective Sunday, May 13 (trade date Monday, May 14) and pending all relevant CFTC regulatory review periods, CME will permit Basis Trade at Cash Open (TACO) transactions on E-Mini S&P 500 futures for trading on CME Globex and for submission for clearing via CME ClearPort.  A TACO transaction on the E-Mini S&P 500 futures is an outright future trading the differential between the equity future and underlying cash index's marking at the publication of the Special Opening Quotation (SOQ).  The TACO instrument is similar to the BTIC (Trade at Cash Close) instrument but uses the cash market open and will trade Sunday – Friday following a unique trading schedule. 

TACO on E-Mini S&P 500 Futures

Product

MDP 3.0: tag 6937-Asset

iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group

Market Data Channel

TACO on E-Mini S&P 500 Futures

ESQ

3T

318

TACO Trading Hours for E-mini S&P Contract:
Sunday – Friday as follows:

  • Trading will start on Sunday at 5:00 pm Central Time (CT) and close on Monday at 8:30 am (CT)
  • Monday – Friday trading stops and market close at 8:30 am (CT) ALL day orders eliminated
  • Monday – Thursday trades from 10:00 am (CT) – 4:00 pm (CT)
  • Monday – Thursday Market Halt occurs at 4:00 pm – 5:00 pm (CT) - Globex Maintenance Period NO day orders eliminated
  • Monday – Thursday trades from 5:00 pm (CT) –  8:30 am (CT) next business day
  • No trading allowed after 8:30 am (CT) on Friday, ALL day orders eliminated

Please Note: Preliminary and final settlements will be published externally; these prices are not used for Clearing end of day mark to market, the Special Opening Quote (SOQ) for the TACO will be used by Clearing for mark to market purposes. The settlement price in Market Data Incremental Refresh (tag 35-MsgType=X, 269=6) message is the price of the last traded differential of the trading session and is used for the following:

  • internal Price Banding
  • display of reference price of the last traded differential on customer systems

TACO on E-Mini S&P 500 futures will be available for customer testing in New Release on Monday, April 23.

RJO Futures | 222 South Riverside Plaza, Suite 1200 | Chicago, Illinois 60606 | United States
800.441.1616 | 312.373.5478

This material has been prepared by a sales or trading employee or agent of RJO Futures and is, or is in the nature of, a solicitation. This material is not a research report prepared by RJO Futures Research Department. By accepting this communication, you agree that you are an experienced user of the futures markets, capable of making independent trading decisions, and agree that you are not, and will not, rely solely on this communication in making trading decisions.